Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 21 (1D) | Nov 24 (4D) | Nov 25 (5D) | Nov 26 (6D) | Nov 27 (7D) | Nov 28 (8D) | Dec 01 (11D) | Dec 02 (12D) | Dec 03 (13D) | Dec 04 (14D) | Dec 12 (22D) | Dec 19 (29D) | Dec 26 (36D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 654.424 | 646.218 | 644.28 | 642.529 | 640.919 | 639.42 | 635.413 | 634.203 | 633.042 | 631.925 | 624.14 | 618.439 | 613.393 |
| upper | 670.836 | 679.042 | 680.98 | 682.731 | 684.341 | 685.84 | 689.847 | 691.057 | 692.218 | 693.335 | 701.12 | 706.821 | 711.867 |
| expected move | 8.206 | 16.412 | 18.35 | 20.101 | 21.711 | 23.21 | 27.217 | 28.427 | 29.588 | 30.705 | 38.49 | 44.191 | 49.237 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
